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Publication type: Master thesis
Title: Systematic Investment Strategies in Futures Markets
Authors: Grob, Linus
Advisors / Reviewers: Schwendner, Peter
DOI: 10.21256/zhaw-19569
Extent: 58
Issue Date: 2019
Publisher / Ed. Institution: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Publisher / Ed. Institution: Winterthur
Language: English
Subject (DDC): 658.1: Organization and finance
Abstract: Futures have been expanding rapidly since the rise in investment inflow into index funds around 2003 and represent a crucial investment instrument. Investors use futures markets for speculative or hedging purposes. The Commodity Futures Trading Commission is the regulatory body of the futures market, and one of their missions is to help the public to understand the market dynamics of futures markets. To do so, they publish the Commitment of Traders reports, which is a breakdown of the open interest (outstanding contracts) of the traders in the long and short position of different classifications. The goal of this thesis is to research the effect of the change in the reallocation signal from momentum and carry strategies, as well as the first differences of the VIX index and the inverse volatility, onto the change in the positions of traders. The existing literature in this context focuses on the relationship between returns, volatilities and the positioning of traders as well as the relationship between the classifications themselves. We found that the research question that we examined has yet not been researched. We focused on 33 US futures markets, where 22 were commodities, seven were currencies, and four were US fixed income. We also estimated the effects on four different Commitment of Traders classifications and compared the results with each other. We evaluate four classifications since the newer classifications provide a more detailed breakdown of the speculative category. In our empirical results, we first compared the performance of the momentum, carry, and long-only strategies, where we found that the momentum strategy performed best across all markets. The carry strategy performed best in the energy and agricultural sector, as well as partly in the currency and fixed income markets. The long-only strategy was able to outperform both strategies in the fixed income market as well as the commodity sector of metal futures. In a secondary analysis, we looked at the movement across the markets and found that futures which belong to the same sector or market have a higher correlation.
License (according to publishing contract): CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
Departement: School of Management and Law
Appears in collections:MSc Banking and Finance

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